Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0898 |
| Annualized Std Dev | 0.2959 |
| Annualized Sharpe (Rf=0%) | 0.3033 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4567.0000 |
| NAs | 1.0000 |
| Minimum | -0.1592 |
| Quartile 1 | -0.0077 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0094 |
| Maximum | 0.2506 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0186 |
| Skewness | 0.2776 |
| Kurtosis | 14.3291 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0133 |
| Gain Deviation | 0.0136 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0176 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.6502 |
| Historical VaR (95%) | -0.0277 |
| Historical ES (95%) | -0.0439 |
| Modified VaR (95%) | -0.0233 |
| Modified ES (95%) | -0.0233 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2021-01-14 | -0.6502 | 3323 | 267 | 3056 |
| 2006-05-10 | 2006-06-13 | 2006-11-30 | -0.2680 | 143 | 24 | 119 |
| 2007-07-24 | 2007-08-16 | 2007-09-18 | -0.1946 | 40 | 18 | 22 |
| 2004-03-02 | 2004-05-17 | 2004-11-12 | -0.1908 | 178 | 54 | 124 |
| 2002-12-03 | 2003-03-11 | 2003-05-30 | -0.1885 | 100 | 56 | 44 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 | -3.9 | -2.2 |
| 2003 | 0.4 | -0.4 | 0.5 | 2.4 | 1.7 | 1.2 | -10.1 | 1.5 | 2.4 | -0.2 | 2.4 | 1.4 | 2.4 |
| 2004 | 0.4 | 2.9 | 1.1 | -1.4 | -0.7 | -0.5 | 0.4 | 1.1 | 2.8 | 0.3 | 1.4 | 0.4 | 8.3 |
| 2005 | 0.8 | -0.6 | 0.9 | 1.1 | 0.9 | 0.3 | 1.3 | 1.4 | 0.3 | 1.4 | 2.3 | -0.3 | 10.3 |
| 2006 | -0.2 | 2.7 | 0.3 | 0.8 | 2 | 0.6 | -1.3 | 1.6 | -0.2 | -0.4 | -0.8 | -0.2 | 4.9 |
| 2007 | 1.4 | -1.3 | -0.9 | 0.4 | 2.3 | -0.2 | -1.6 | 3 | 3.8 | -3.6 | 1.7 | -0.8 | 4 |
| 2008 | 2.3 | -3.9 | 4.2 | 1.1 | 0.7 | -1.3 | -1.3 | 0.9 | -0.7 | -0.9 | -10.1 | 1.4 | -8 |
| 2009 | -0.7 | -1 | 3.8 | 2 | 3.8 | 1.5 | 0.7 | -2.1 | -2.9 | -4 | 2.7 | 0.2 | 3.6 |
| 2010 | 2.6 | 1.5 | 2.1 | -0.9 | -1.1 | 0.4 | 0.6 | 3.2 | 1.4 | 1 | 2.4 | 0.6 | 14.5 |
| 2011 | 2.2 | -0.8 | 1.3 | 1 | -1.5 | 1.2 | 0.4 | 0 | -2.8 | -2.4 | 0.6 | 0.6 | -0.3 |
| 2012 | 2 | 1.3 | 0.6 | 0.6 | -2.4 | 4.4 | 0.2 | 0.6 | 0.8 | 1.4 | -0.2 | 1.3 | 10.9 |
| 2013 | 1 | 0.1 | -0.8 | -1.1 | -1.9 | 0.2 | 1.4 | -0.2 | 1.5 | -0.1 | 1 | 0.5 | 1.4 |
| 2014 | -1 | -1 | 1.1 | -0.1 | -1.5 | 1 | 0 | 0.9 | -2.5 | 1.4 | -2.6 | -0.1 | -4.2 |
| 2015 | -2.2 | -0.1 | 1.1 | 0.4 | 0 | -0.7 | 0.2 | -3 | 0.1 | 0.8 | 1.1 | -0.6 | -2.9 |
| 2016 | 0 | 3.5 | 0.2 | 0.1 | -0.3 | 0.4 | 0.3 | 0.5 | 0.3 | -1.3 | -2.8 | -0.7 | 0 |
| 2017 | 0.3 | 1.2 | -0.2 | 0.6 | 0.7 | 0.8 | 0.5 | 0.5 | 1.2 | 0.4 | -0.6 | 0.5 | 6.3 |
| 2018 | -1 | -1.3 | 2.4 | 0.1 | 1.5 | 0.7 | -1 | 0.8 | 0.1 | 3.1 | 0.3 | -0.3 | 5.3 |
| 2019 | 0 | 0 | 1 | 0.4 | -0.9 | 2 | -2.1 | 0.7 | -0.3 | 1.1 | 0.8 | -0.5 | 2.1 |
| 2020 | -2.2 | -0.8 | -3.8 | -3.5 | 1.5 | 0.8 | -1 | 2.4 | 0.7 | -1.8 | 1.8 | -0.8 | -6.8 |
| 2021 | 3.6 | 2.4 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-11-13 12.2 SPY 89.0 0.001 -4.29e-2 0.0039 -0.0476 -0.223 -0.349 NA <NA> NA NA NA
2 2002-11-14 12.5 SPY 90.7 0.0189 -3.00e-4 0.0483 -0.0267 -0.209 -0.341 NA <NA> NA NA NA
3 2002-11-15 12.6 SPY 91.4 0.0074 1.95e-2 0.0355 -0.0419 -0.204 -0.340 NA <NA> NA NA NA
4 2002-11-18 12.7 SPY 90.5 -0.0101 2.52e-2 0.0208 -0.0414 -0.209 -0.353 NA <NA> NA NA NA
5 2002-11-19 12.5 SPY 90.4 -0.0013 1.57e-2 0.0021 -0.0563 -0.220 -0.355 NA <NA> NA NA NA
6 2002-11-20 12.7 SPY 92.4 0.0222 3.73e-2 0.0318 -0.0446 -0.195 -0.346 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
